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The Effects of Socially Responsible Dimensions

on Risk Dynamics and Risk Predictability:

A Value-at-Risk Perspective
Les effets des dimensions socialement responsables sur la
dynamique et la prédictibilité des risques : une approche
Los efectos de las dimensiones socialmente responsables sobre
la dinámica y la previsibilidad de los riesgos: un enfoque de
CREM, IGR-IAE de Rennes, CREM, IGR-IAE de Rennes, Kedge Business School
Pour citer cet article : Viviani, J.l. ; Fall, M. & Revelli, C. (2018). The Effects of Socially Responsible Dimensions on Risk Dynamics

Pour citer cet article : Viviani, J.l. ; Fall, M. & Revelli, C. (2018). The Effects of Socially Responsible Dimensions on Risk Dynamics
University of Rennes 1 University of Rennes 1


Using a Value-at-Risk (VaR) approach and En utilisant une approche par la Value-at- Usando un enfoque de Value-at-Risk (VaR) y
a sample of 2082 stocks on the 2004-2015 Risk (VaR) et un échantillon de 2082 actions una muestra de 2.082 acciones durante 2004-
period, we measure the impact of SR dimen- sur la période 2004-2015, nous mesurons 2015, medimos el impacto de las dimen-
sions (measured by Vigeo ratings) on the risk l’impact des dimensions socialement res- siones socialmente responsables (medidas
level and the risk dynamic of stock returns ponsables (mesurées par les ratings Vigeo) con Vigeo ratings) en el nivel de riesgo y la
and on their risk predictability. We conclude sur le niveau de risque et la dynamique des dinámica de los riesgos de la rentabilidad
that good overall socially responsible (SR) risques des rentabilités d’action, ainsi que de la acción, así como su predictibilidad
ratings reduce the downside risk level of leur prédictibilité du risque. Nous concluons del riesgo. Concluimos que la calificación
and Risk Predictability: A Value-at-Risk Perspective. Management international, 23(3), 141-157.

and Risk Predictability: A Value-at-Risk Perspective. Management international, 23(3), 141-157.

stock returns. We find also that high-rated que le rating global RSE réduit le risque general de CSR reduce el riesgo « down-
companies in HR (Human Resources), ENV downside de la rentabilité des titres. Nous side ». También pensamos que las compa-
(Environment), BB (Business Behaviour), trouvons également que les entreprises bien ñías que están altamente calificadas en HR
CIN (Community Involvement), and HRTS notées dans les dimensions HR (Ressources (Recursos Humanos), ENV (Ambiente), BB
(Human Rights at Workplaces) dimensions Humaines), ENV (Environnement), BB (Comportamiento en los Mercados), CIN
better absorb volatility shocks. (Comportement sur les Marchés), CIN (Compromiso con la Comunidad) y HRTS
Keywords: Social Ratings, GARCH, (Engagement Communautaire), and HRTS (Derechos Humanos en el Trabajo) absorben
Predictability Risk, Times Series Models, (Droits Humains au Travail) absorbent mejor las crisis de volatilidad.
Value-at-Risk (VaR) mieux les chocs de volatilité. Palabras Clave: Clasificaciones sociales,
Mots-Clés : Ratings sociaux, GARCH, pré- GARCH, Previsibilidad del riesgo, Modelos
dictibilité du risque, Modèles Time Series, Time Series, Value-at-Risk (Var)
Value-at-Risk (Var)

N umerous studies investigate the relationship between

socially responsible (SR) dimensions or practices and
company risk at both the theoretical and empirical level. Theor-
scores or ratings and financial risk measured as total risk (Jo and
Na, 2012; Kim, 2010), idiosyncratic risk (Boutin-Dufresne and
Savaria, 2004; Mishra and Modi, 2013; Bouslah et al., 2013) and
etically, due to better balancing the interests of the various stake- systematic risk (Jo and Na, 2012; Kim, 2010).
holders (Mishra and Modi, 2013), greater reputation (Godfrey
Due to regulatory constraints (Basel 2-3) and equity opti-
et al., 2005) and less information asymmetry (Lahrech, 2011),
companies with higher SR practices should be less risky and more mization in banks, portfolio and risk managers use specific risk
resilient in times of crisis. However, as the risk measures (total measures (namely, Value-at-Risk and Conditional Value-at-Risk
risk, systematic risk and idiosyncratic risk), methodologies (for measuring downside risk) but the effect of SR dimensions on
instance, measures of the various dimensions of social respons- these measures has to date only been partially investigated
ibility) and samples are heterogeneous, extant empirical studies (Benlemlih and Girerd-Potin, 2014). Moreover, the question
do not provide clear evidence of these claims. Nonetheless, of how SR dimensions can improve the predictability of these
such studies suggest a slightly negative relationship between SR measures remains unanswered. More specifically, we wonder if
142 Management international / International Management / Gestión Internacional

risk managers can use past returns, some characteristics of the of this relationship (sections 2 and 3). We then introduce our
company (size, leverage and CSR performance) to predict the method and sample (section 4), present our empirical results
mean and volatility of stock returns (mean and volatility are (section 5) and end with our conclusions.
the two central parameters used to compute the Value-at-Risk).
We are searching for a model specification and an information
set (including SR ratings) among the set of models believed to
Theoretical Foundations of SR Dimensions
be capable to predict expected returns and volatility1. Contrary or Practices and Company Risk
to most studies on the relationship between SR dimensions and Some arguments developed in literature explain the relationship
company risk, empirical studies in financial risk management between social performance and financial risk (for a review, see
often use GARCH like time series models in order to tend to Benlemlih and Girerd-Potin, 2014 and Kim et al. 2014). The impact
account for several stylized facts (volatility clustering and of SR commitment on company risk has generated a theoretical
leverage effect). Technically, risk measures are often predicted debate between stakeholder theory and the more traditional
using an econometric times series model in the GARCH family. stockholder governance approach. The debate could be seen
These kinds of measures permit to investigate the effect of SR under two prisms: the impact of SR dimensions on downside
dimensions on the time series properties of stock return vola- risk (reduce or increase the potential loss or negative risk) and on
tility, even if not dealt in the literature until now. upside risk (reduce or increase the potential gain or positive risk).
In the present paper, we not only investigate the relation-
ship between social rating and market risk level but also the The impact of SR commitment on downside risk
risk dynamics and the risk predictability to assert whether the
social rating can be used as an additional indicator of risk. We The impact of SR commitment on the intangible capital and
measure market risk levels by Value-at-Risk (VaR) while the risk the company risk
dynamics are given by the parameters of a GARCH model. We A first dimension of the debate is the answer to the follow-
then measure market risk predictability by observing how well ing question: Does SR commitment increase or decrease the
standard parametric VaR modelling predicts extreme returns. intangible capital of the firm? Intangible capital has a strong
Predictability is of practical interest for risk managers because if link with company risk because as for the traditional equity
SR ratings help to better predict stock returns volatility, they could capital, relational and reputation capital can be seen as a buffer
be introduced as valuable risk factors in risk prediction models. protecting the company against risk. According to Fombrun
We conclude of our empirical study using Vigeo ratings et al. (2000), “reputational capital safeguards the existing assets
that in terms of the estimated risk characteristics, good overall of the firm, serving as a buffer against losses”.
SR ratings reduce the downside risk level (measured by VaR) Stakeholder theory (Freeman, 1984) suggests that managers
and soften the volatility movements. When we decompose the should balance the interests of shareholders, employees, custom-
results by SR dimensions, we find that high-rated companies ers and the community to ensure the organization’s survival.
in HR (Human Resources), ENV (Environment), BB (Business Indeed, achieving the organization’s objectives may depend on
Behaviour), CIN (Community Involvement), and HRTS (Human the interests of different stakeholders. Good SR practices reduce
Rights at Workplaces) dimensions better absorb volatility the risk of losing the support of one or more stakeholders. This
shocks than low-rated companies in the same dimension. leads to avoiding punitive measures that could otherwise result
Unfortunately, concerning the risk predictability, we do not in decisions that have a negative effect on stakeholder interests.
find that SR ratings help to improve the prediction quality of By developing good environmental, product and commercial
stock return risk (measured by VaR)2. practices, workplace quality of life, investor trust and other
These results have interesting theoretical and managerial intangible advantages, SR companies will thus benefit from the
implications. From a theoretical viewpoint, to the authors’ lesser likelihood of legal actions resulting in financial penalties,
knowledge, this paper is one of the first to investigate the SR higher employee loyalty and stronger customer trust (Boutin-
dimensions-risk relationship measured by VaR while also meas- Dufresne and Savaria, 2004).
uring the impact of these dimensions on the risk dynamics of Moreover, by increasing social performance and meeting
stock returns and risk predictability using a large international stakeholder expectations, companies preserve and develop
sample and sophisticated econometric models. From a manag- their reputation. Reputation is an important intangible asset
erial viewpoint, this research provides portfolio managers with affecting firm value and producing potential tangible benefits
the possibility of considering good SR practices (by dimensions) (Godfrey et al., 2005). The impact of reputation on financial
to reduce the ‘risk-VaR’ of their portfolios and the effect of performance is mainly due to insulation from negative financial
negative returns on volatility while improving their capacity performance. Participating in some types of SR activities leads
to soften the volatility movements of their portfolios. to a form of goodwill or moral capital (Godfrey et al., 2005)
The remainder of the paper is structured as follows. We first that protect many of the firm’s relationship-based intangible
provide the theoretical foundations of the relationship between assets, providing shareholders with insurance-like protection
SR practices and company risk and review the empirical evidence and contributing to shareholder wealth.

1. We consider predictability (Goodwin & Wright, 2010) as the capability of forecasters to produce a well-calibrated probability distribution. Perfect calibration
would be achieved, for example, if it is observed that stock returns are higher than the VaR99%, 1% of the days.
2. Our results of course depends on the time series model we used (classical GARCH and GJR model). It could be the case that SR ratings be useful in predicting
risk if risk managers use other risk prediction models.
The Effects of Socially Responsible Dimensions on Risk Dynamics and Risk Predictability: A Value-at-Risk Perspective 143

However, following the classical governance theory, SR As every innovative process, adoption of SR strategies could
commitment has a negative effect on relational or intangible generate new business opportunities. For instance, the com-
capital because adoption of SR strategies could exacerbate the pany embodies its products with SR attributes but if customers
agency problem between managers and shareholders or stake- could not enjoy these new attributes and be willing to pay for
holders (Friedman, 1970). This SR engagement could be seen as them, this strategy decreases the upside potential (upside risk)
a way to enlarge managerial discretion without corresponding of the company (MacWilliams and Siegel, 2001). All initiatives
enlargement of control. Managerial discretion deteriorates into considered to be socially responsible will distance leaders from
self-interested opportunism risky to investors (Windsor, 2006). their purported goal of maximizing profit (Aupperle et al.,
1985). Preston and O’Bannon (1997: 421) talk about “trade-off
The impact of SR commitment on the company’s efficiency hypothesis”, where SR activities “may siphon off capital and other
and risk resources from the firm, putting it at a relative disadvantage
The second dimension of the debate is the impact of SR adoption compared to firms that are less socially active.”.
on companies’ efficiency. Following the stakeholder theory, high In the other side, SR commitment can also be a vector of
quality relationships with stakeholders have a positive effect on growth in sales and profitability (increases upside risk). SR
risk management by reducing uncertainty in the market place, practices could be viewed as a real opportunity of growth for
creating controls that minimize or eliminate disruption, loss companies if we integrate that many investors or consumers
or damage to business operations, and reduce the impact of an are ethical-focused and mainly interested in the quest for an
undesirable event on the business (Kytle and Ruggie, 2005). ethical value rather than a financial value (Arvidsson, 2009). For
More specifically, SR practices adoption and compliance with instance, all the different issues around climate change and the
environmental and social issues improve the firm’s ability to new regulations (Paris Agreement, Carbon Disclosure Project,
control and reduce environmental and other risks such as damage Montreal Pledge…) could act as real business opportunities for
to brand image, reputation and trust, consumer boycotts, high companies in developing SR strategies. This argument is linked
exposures to fines, penalties and punitive damages. to the social impact theory of Preston and O’Bannon (1997),
In the corporate governance perspective, adoption of SR for whom external reputation and social expertise develop eco-
strategies can increase risk because it deteriorates the competitive nomic and financial performance in creating competitiveness
advantage of the company by diverting resources towards less and differentiation. All these arguments are online with the
or non-profitable activities (MacWilliams and Siegel, 2001) or stakeholder theory of Freeman (1984) where the success of a
by degrading the quality of decisions due to multi-objectives company is materialized when good relationships are maintained
function (Jensen, 2001). and developed with stakeholders (either internal or external).
Finally, the link between the systematic and idiosyncratic
The impact of SR commitment on information asymmetry
risk can be made in explaining how SR commitments attract
and company risk
SR investors on the market who are willing to pay more for this.
The third dimension of the debate is on the impact of SR commit- Beltratti (2003) explains that the effect of ethical or socially
ment on information asymmetry. Less information asymmetry responsible investing on stock prices is weak until the share
and high information quality in business decisions also have the of SR investors is reduced. However, as stated by Dupré et al.
effect to reduce the risk perceived by investors and more gener- (2009), when this share is growing, SR stocks prices increase, as
ally by stakeholders (Lahrech, 2011). SR adoption should lead SR investors are willing to pay more and make a financial sacri-
company to be more transparent and to disclose more reliable fice to satisfy their SR positioning and requirement. Possibilities
information to stakeholders. Several empirical studies illustrate to generate market positive returns for SR investors is thus
the positive impact of SR adoption on the quality of information existing. As a consequence and a positive event for companies,
disclosure (Choi and Pae, 2011; Martínez-Ferrero et al., 2015). the equity cost decreases for companies that demonstrate SR
Nevertheless, following the second explanation, adoption of SR commitments and procure them a competitive advantage com-
strategies could help managers to hide bad information (Jin and pared to non-SR companies by a reducing their funding rate
Myers, 2006) and bad behaviour (Hemingway and Maclagan, and thus a better control of their financial risk (idiosyncratic
2004). More specifically, SR activities can be used by manager risk). The innovation proposed by SR companies offer them the
to manipulate earnings (Prior et al. 2008) or to disguise the real possibility to benefit from the capital of new investors identified
value of a company’s assets (Zahra et al., 2005). As stated by as socially responsible. The role of SR funds is to identify and
Kim et al. (2014: 2), “if firms use CSR as a tool to disguise bad invest into SR companies and offer them the possibility to fund
news and divert shareholder scrutiny, CSR would be associated their growth opportunities. The specific market of SR investing
with higher, not lower, stock price crash risk.”. (SRI), favoured by regulation and transformation of business
models of investors considering the sustainable issues, permits
The impact of SR commitment on upside risk to link SR companies and SR investors and thus to amplify
All the previous explanations emphasis on the impact of SR positive events specific to the firm3.
adoption on downside risk (does it increase or not the risk of Finally, our arguments in the specific paragraph on upside risk
losses) but SR adoption could also have an impact on upside try to demonstrate that SR companies have the possibility (but it
risk (possibility to decrease or increase the potential gain). is not sure) to obtain high positive returns (new opportunities,

3. The emergence of the French SRI and TEEC Labels could be good examples of SR investors engaged in sustainable development asset management strategies
and favoring the development of SR companies from economic and market point of views.
144 Management international / International Management / Gestión Internacional

businesses, innovation, differentiation)4. We suppose that, due risk. This study supports the notion that not all SR dimensions
to better relationship with all the stakeholders, better reputation are relevant in evaluating a company’s risk.
and a more sustainable business, the SR companies will suffer SR engagement also has an effect on systematic risk. Studies
less of negative shocks (either idiosyncratic such as scandals, on the US markets (Jo and Na, 2012; Kim, 2010) find that cor-
business disruptions… or systematic, for instance an increase porate social performance is negatively related to systematic
of oil prices) and benefit more of positive shocks (either idiosyn- risk. However, Oikonomou et al. (2012) show that individual
cratic or systematic) by attracting more quickly and efficiently KLD6 strength components are negatively but insignificantly
the resources that are necessary for their growth. Consequently, related to systematic risk while three out of five individual social
the payoffs of SR companies should be closer to call option like concerns (community, employment and environment) have a
payoffs than other companies. positive and significant effect. Salama et al. (2011), focusing on
environmental responsibility using a sample of UK firms, find
Empirical Evidence of SR Dimensions that the environmental performance of these firms is inversely
or Practices and Company Risk related to systematic risk.
This section presents a literature review of the impact of SR From a general viewpoint, extant literature suggests there is
dimensions on various measures of risk: total risk, systematic a slight negative relationship between SR dimensions or ratings
risk (theoretically rewarded by the market) and idiosyncratic of companies and the different measures of financial risk (stock
risk (theoretically not rewarded by the market5). We isolate the volatility, idiosyncratic risk and systematic risk).
few studies on downside risk as these constitute the measures
used in this paper. Downside risk
Few studies analyse the impact of SR ratings on downside risk
Total, idiosyncratic and systematic risk measures. Nofsinger and Varma (2014) show that SRI funds
Some empirical studies examine the relationship between SR perform better during bear markets as their attributes dampen
dimensions or practices and financial risk through components downside risk. Oikonomou et al. (2012) show no significant
of total risk (measured by variance or standard deviation of effect of KLD ratings on financial risk when using the Bawa
stock returns), systematic risk (or market risk) or specific risk and Lindenberg beta downside risk measure, while their Har-
(or idiosyncratic risk). low and Rao beta results analysis shows a positive relationship
between downside risk and some individual components of social
Using a meta-analysis, Orlitzky and Benjamin (2001) recon-
irresponsibility (community concerns, employee relation con-
sider various empirical studies addressing the link between social
cerns and environmental performance concerns). Benlemlih and
performance and financial risk in the US between 1978 and 1995.
Girerd-Potin (2014) use ‘Value-at-Risk’ (VaR) and ‘Conditional
Their results support the existence of a negative relationship
VaR’ (CVaR) measures of downside risk and find that portfolios
between these two variables. More recently, Jo and Na (2012)
with high social responsibility scores are less risky than port-
and Kim (2010) studied the relationship between SR practices
folios with low social responsibility scores. Finally, the study of
of companies and firm total risk using respectively KLD data
Kim et al. (2014) supports the mitigating effect of CSR on crash
and The Business Ethics 100 Best Corporate Citizens in the
risk defined as the conditional skewness of return distribution.
American market. Jo and Na (2012) conclude that firm total risk
is negatively related to SR engagement. The reasons why empir-
ical literature yields few significant relations between SRI and Methodology and sample
expected returns are noted and may be due to the aggregation
of different dimensions that have contrasting effects (Scholtens Value-At-Risk Methodology
and Zhou, 2008). This therefore requires investigating different We use the Value-at-Risk framework to assess stock market risk.
dimensions of social responsibility. Kim’s (2010: 205) results In recent years, the tremendous growth in trading activity and the
illustrate this point: “composite CSR” measures show a positive widely publicized trading losses of well-known financial institu-
effect while some individual “components of CSR” measured with tions have led financial regulators and supervisory authorities to
the business ethics score show a negative effect on total firm risk. favour quantitative techniques that appraise the possible losses
In terms of idiosyncratic risk, the results of empirical stud- that these institutions may incur. Value-at-Risk has become
ies do not provide clear evidence on the negative effect of SR one of the most widely used techniques as it provides a simple
dimensions or practices. Most studies find a negative relation- answer to the following question: with a given probability (say
ship with firm idiosyncratic risk (Boutin-Dufresne and Savaria, α), what is my predicted financial loss over a given time horizon?
2004; Mishra and Modi, 2013), yet Humphrey et al. (2012) and The answer is the VaR at level α, which gives an amount in the
Kim (2010) find no evidence. Finally, Bouslah et al. (2013) focus currency of the traded assets (in dollar terms for example) and
on individual components of social performance and find that is thus easily understandable. VaR has a simple statistical defin-
idiosyncratic risk is negatively related to employee relations and ition: the VaR at level α for a sample of returns is defined as the
human rights, while other SR components do not affect financial corresponding empirical quantile at %. The quantile definition

4. To illustrate, we can take the example of electric and classical carmakers that could have similar volatilities (being in the same industry…) but the upside
potential of electric could probably be higher (so the kurtosis).
5. There is a debate on the impact of idiosyncratic risk on expected return since the seminal paper of Goyal and Santa-Clara (2003).
6. Kinder, Lydenberg, Domini Research & Analytics (today owned by MSCI ESG Research).
The Effects of Socially Responsible Dimensions on Risk Dynamics and Risk Predictability: A Value-at-Risk Perspective 145

implies that with probability 1 -α the returns will be larger than ahead the future mean and variance process allowing the
the VaR. In other words, with probability 1 -α, the losses will authors to compute ex-ante the one-day ahead VaR (long and
Formally, the conditional
be smaller VaR
than the(for a long
dollar position)
amount canby
given bethe
From an short positions).
empirical point of view, computing the VaR for a collection of The procedure can be summarized as follow:
returns Pr thus
𝑟𝑟! <requires
−𝑉𝑉𝑉𝑉𝑉𝑉!|!!! 𝛼𝛼 = 𝛼𝛼 the
computing ∀ 𝑡𝑡 ∈ ℤ quantile at level (1)
, empirical
α of the distribution of the returns of the portfolio. 1. Starting with an initial sample of five years of data, for each
series we calibrate the model and predict the following day’s
Formally, the conditional VaR (for a long position) can be (t+1) conditional mean ( yt ) and variance process (σt2 ).
^ ^

defined as:
MODELLING THE STOCK RETURNS PROCESS 2. Moving to one day ahead, we observe the realized values (σt2, yt )
∀ t ∈ Z(1)
and compare this with the predicted values (σt2 ,  yt ) and store
Pr[rt< − VaRt|t−1 (α)] = α ,
the result. We then add this day in the estimation sample
The necessary elements to compute VaR are the volatility and mean of the returns process. We
and predict the following day’s mean and variance values.
Modelling the stock returns process
consider a collection of daily log returns (in %), 𝑦𝑦! = 100 𝑙𝑙𝑙𝑙𝑙𝑙 (𝑝𝑝! ) − 𝑙𝑙𝑙𝑙𝑙𝑙 3. We
(𝑝𝑝!!! ) repeat
where the second step until we reach the end of the
The necessary elements to compute VaR are the volatility and sample andquality
of daily significance for the themodel calibrationThese
VaR estimation. (parameters
results andare the VaR
𝑡𝑡 = 1, … 𝑇𝑇mean
and 𝑝𝑝of the returns process. We consider a collection
! is the stock price at time t. We rely on the ARMA-GARCH and the ARMA-via maximum likelihood estimation) every 50 days.
log returns (in %), yt = 100[log (pt ) − log (pt−1)] where t = 1,…T and
parameters are stored
GJR model pt istothe stock price
forecast at time
the mean andt. We rely onprocess,
variance The ‘ARMA’ part 4.
the ARMA-GARCH Weannually
forecastsobserve per stock and used later on in7 the panel data analysis.
the the number of violations for both the long and
and the ARMA-GJR model to forecast the mean and variance
In addition
short positions and deduct the theoretical annual VaR based
to the standard long VaR computation, we also consider the short VaR as in Giot and
mean process (𝜇𝜇) while the ‘GJR’ part forecasts the
The ‘ARMA’ part forecasts the conditional mean processconditional variance on the
process conditional
(𝜎𝜎! ). mean and variance process. We then derive
(μ) while the ‘GJR’ part forecasts the conditional variance process (2003). The statistical
long side of significance
the daily VaRfor the quality
is defined of VaR
as the the VaR
for traders with long
The ARMA orders (p,q) are determined by minimizing the Akaike information criterion These with
results and the VaR parameters are stored annually
(σt). The ARMA orders (p,q) are determined by minimizing the
positions in the relevant per stocks,
stock which
and usedis later
the ‘usual’
on in VaR
the where
panel datatraders incur losses when
p,q=0:1 (four information
combinations). criterion with
Accordingly, p,q=0: 1 (four
the conditional combinations).
mean process equation is:
Accordingly, the conditional mean process equation is: returns are observed.
negative In addition to the standard
Correspondingly, long side
the short VaRofcomputation,
the daily VaRwe is also
the VaR level
∅ 𝐿𝐿 𝑦𝑦! = 𝑢𝑢 + 𝜃𝜃 𝐿𝐿 𝜀𝜀! (2) consider the short VaR as in Giot and Laurent (2003). The long
∅(L) yt = u + θ(L)εt(2) for traders with short sidepositions,
of the daily i.e.,VaR is defined
traders incurringas the VaRwhen
losses level stock
for traders
increase. The
where ∅ 𝐿𝐿 , 𝜃𝜃 𝐿𝐿 are polynomials in the lag operator of order 𝑝𝑝, 𝑞𝑞 respectively,long withpositions
all their in the relevant stocks, which is the ‘usual’ VaR
where ∅(L) , θ(L) are polynomials in the lag operator of order
model’s ability to predict long VaR
where traders thuslosses
incur relates to itsnegative
when ability to modelare
returns large negative returns,
roots lyingp, q respectively,
outside with all
the unit circle, andtheir
𝐿𝐿 is roots lying
the lag outside the unit circle,
Correspondingly, the short side of the daily VaR is the VaR level
and L is the lag operator. while its performance regarding the short side of VaR is based on its ability to take into account
To model the conditional variance process, we use the classical GARCH and thefor GJRtraders
Models with short positions, i.e., traders incurring losses
To model the conditional variance process, welarge use the clas-returns.
positive when stock prices increase. The model’s ability to predict long
(which allows GARCH asymmetric
and the GJRvolatility
(which allows
The modelling
conditional varianceVaRprocess
thus relates
is to its ability to model large negative returns,
asymmetric volatility clustering). The conditional For the normal GARCH
variance whilemodel, the VaR for regarding
its performance long and short the positions
short sideis of
VaRby: is based
defined as:process is defined as: on its ability to take into account large positive returns.
Long VaR: 𝑢𝑢! + 𝑁𝑁!, 𝜎𝜎! (4)
! !"# ! !"# ! ! ! !"# ! For the normal GARCH model, the VaR for long and short
𝜎𝜎!! = 𝑤𝑤 + !!!(𝛼𝛼! 𝜀𝜀!!! + 𝛾𝛾! 𝑆𝑆!!! 𝜀𝜀!!! ) + !!!(𝛽𝛽! 𝜎𝜎!!! ) (3) (3)
positions is given
Short VaR:by: 𝑢𝑢! + 𝑁𝑁!!!, 𝜎𝜎! (5)
where 𝑆𝑆!!! is awhere
is a dummy

that takes the that takes
value the value
1 when 1 when εand
𝜀𝜀! is negative t This u  + Nα, σt
Long VaR:
0 otherwise. (4)
is negative and 0 otherwise. This term (specific to thewhere 𝑁𝑁! (𝑁𝑁!!! 𝜎𝜎! ) is the left (right) tquantile
GJR model) at α% for the normal and 𝑢𝑢! and 𝜎𝜎! are respectively
term (specific to thethe
GJReffect shock εthe
of a permits
model) 2
the conditional !
of a shock 𝜀𝜀!variance σt2
on the conditional variance 𝜎𝜎!! ut + N1-α, σt
Short VaR: (5)
t the conditional mean and conditional variance at time t. We set α to the value 0.05.
to differ when the shock on returns is positive or negative. This where Nα (N1-α σt) is s the left (right) quantile at α% for the
to differ when the shock
asymmetric on returns
effect is positive
in financial series isorwidely
negative. This asymmetric
documented: vola- effect in financial
normal and ut and σt are respectively the conditional mean
tility increases by a greater amount following negative shocks OF THE QUALITY OF THE VAR ESTIMATION
shocks variance at time t. We set α to the value 0.05.
and conditional
series is widely documented: volatility increases by a greater amount following negative
and is often associated with the ‘leverage effect’ whereby a firm’s
debt-to-equity ratio increases when equity valuesOur decline,
aim isand
to evaluate to which extent the VaR methodology
Evaluation of the quality of theaccurately predicts extreme returns
VaR estimation
equity holders perceive the firm’s future income streams as more
risky (Black, 1976). The GARCH model is a restricted Our aim is
version this accuracy
and whether is to evaluate
linked to which
to social extent
ratings. Wethe VaRfocus
thus methodology
on so-called ‘VaR
of the GJR model, with γ = 0. We set the order of lag to be (1,1) accurately predicts extreme returns and whether this accuracy
for all variance models. is linked
violations’. The expected to social
number ratings.
of violations We thus
depends focus
on the on so-called
confidence ‘VaR
level, Let 𝐼𝐼! (𝛼𝛼) denote
violations’. The expected number of violations depends on the
In the present paper, we adopt an out-of-sample method- variable
the exception associatedlevel,
confidence with Let
the ex-post observation
It (α) denote of an α%variable
the exception asso- at time t
VaR exception
ology to compute VaR, which entails an iterative procedure ciated with the ex-post observation of an α% VaR exception at
where forecasts are made as in ‘real’ conditions, meaning
for a longthat
position case, 𝐼𝐼! (𝛼𝛼) is then defined as:
time t for a long position case, It (α) is then defined as:
the estimation part that calibrates the model does not include
observations of the forecast period but is updated daily in the 1 𝑖𝑖𝑖𝑖 𝑟𝑟! < −𝑉𝑉𝑉𝑉𝑉𝑉(𝛼𝛼)!|!!!
𝐼𝐼! 𝛼𝛼 =  (6) (6)
same way practitioners do. The estimation part is based on a 0 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒
minimum of five years of data regularly updated with the most VaR forecasts are valid if and only if the violation pro-
recent days. This out-of-sample methodology is coupled with cess satisfies the Unconditional Coverage Property and the
an update of the econometrical model every 50 trading days. Independence Property (Christoffersen, 1998). We rely on
Calibrated (to the data) models are used to predict one-day the most distinguished Dynamic Quantile Test of Engle and

7. A violation occurs when the returns are lower (higher) than VaR for the long position (short position).
ditions are satisfied, i.e., that the frequency of exceptions is consistent with the

ber of violations
146 (Unconditional Coverage Property) and that violations are international / International Management / Gestión Internacional

distributed (Independence Property).

Manganelli (2004) to jointly test whether these two conditions ‘Community Relations’, ‘Corporate Governance’, ‘Diversity’,
are satisfied, i.e., that the frequency of exceptions is consistent Employee Relations’, Environment’, ‘Product’ and ‘Human Rights’
Quantile is based on a simple linear regression that links the violations to the
with the expected number of violations (Unconditional Coverage (rated on strengths and concerns for each dimension when the
Property) and that violations are independently distributed
ons. Violations are represented by the Hit variable defined as follows (for long rating provided by Vigeo is for a date, for a sector and for each
(Independence Property). dimension and sub-dimension). As the methodology of KLD
The Dynamic Quantile is based on a simple linear regression and Vigeo totally differ, ratings will automatically be different.
that links the violations to the lagged violations. Violations To rate a company, Vigeo uses two types of scales: ‘Vigeo
are𝐻𝐻𝐻𝐻𝐻𝐻 ! 𝛼𝛼 = 𝐼𝐼!by
represented 𝛼𝛼the
− Hit
α variable defined
(7) as follows (for long scores’ and ‘Vigeo ratings’. Vigeo scores consist to attribute a
position VaR): score to a company between 0 for the least socially responsible
le takes values 1 − 𝛼𝛼 every time 𝑟𝑟! < −𝑉𝑉𝑉𝑉𝑉𝑉 and −𝛼𝛼 otherwise. The intuition isfirms as to 100 for the most responsible firms (the score provided
Hitt(α) = It (α) − α (7) is not relative to the sector). Vigeo ratings consists to provide a
intercept of the regression is null, it indicates that the Unconditional Coverage score to a company relative to its sector on five levels: --; -; =; +
The Hit variable takes values 1 − α every time rt < −VaR
or ++. We decide to use ‘Vigeo ratings’ in our study to be sure
lfilled (𝐸𝐸(𝐻𝐻𝐻𝐻𝐻𝐻and
! ) =− α0),otherwise. Theifintuition
additionally is as follow:(of
all the coefficients if the
the intercept
lagged Hits) are
that companies are rated relative to their sector.
of the regression is null, it indicates that the Unconditional
show that Coverage
there is Property
no correlation in the
is fulfilled Hitt) = 0),
(E(Hit sequences if allthat the Each rate is given a numerical value from 1 to 5, where 1
and then
the coefficients (of the lagged Hits) are also null this show that and 5 are respectively the extreme rates “--” and “++”. Thus,
property is also
therefulfilled. Engle andinManganelli
is no correlation (2004) and
the Hit sequences showthenthat,that
the the null
Vigeo ratings are treated as categorical variables.
Independence property is also fulfilled. Engle and Manganelli The daily returns obtained from Datastream from 1 January
adequate modelling,
(2004) show the Dynamic
that, underQuantile
the nullStatistic (see equation
hypothesis of adequate below)
until 31 December 2015 for all common shares with a
elling, the Dynamic Quantile Statistic (see equation below) Vigeo social rating resulted in a sample of 3523 companies
stribution. Thefollows
test statistic is givendistribution.
a Chi-Square by: The test statistic is given by: all of size and sectors. The following filters were then applied:
𝛽𝛽 ! 𝑋𝑋 ! 𝑋𝑋𝑋𝑋 – Datastream stocks with available prices
𝐷𝐷𝐷𝐷 = ∼ 𝜒𝜒 ! (𝑘𝑘) (8)
𝛼𝛼(1 − 𝛼𝛼) – Less than 10% missing data for each stock per year
where β is a vector composed of the regression coefficients – Stock with at least five consecutive years of data (a require-
vector composed of the regression coefficients on the lagged hits, X is the
on the lagged hits, X is the explanatory variable matrix (lagged ment for Value-at-Risk estimates).
hits) and k depends of the number of explanatory variables
ariable matrix (lagged hits) and k depends of the number of explanatory variables The final sample consisted of 2185 eligible companies rated
(number of lags). In our case, we include 5 lagged Hit variables
(for technical details, et al., 2012) by Vigeo and from which we can estimate the parameters of
gs). In our case, we include 5 see Dumitrescu
lagged Hit variables (forsotechnical
the matrix X
details, see
the time series models of stock returns. But considering that
corresponds to a matrix composed of 5 times-series of daily vio-
for some companies we have no possibility to match the data
al., 2012) solations (dummies
the matrix vector withtovalue 1
X corresponds if one
a matrix hit and 0ofotherwise)
composed 5 times-series of
based on the original Hit sequence but at 5 different lags. In the (for instance, for a given company, we can estimate the par-
following, ameters of the time series models for 2007-2008 but obtain the
s (dummies vector withwevalue
1 ifour
hiteconometric panel based
and 0 otherwise) data models.
on the original
SR rating only for 2009), our final sample is thus composed of
2082 eligible companies.
Table 1a provides the summary statistics for each of the
We use Vigeo social ratings8 to measure the link between SR original ratings, size (measured by the Log of market value)
dimensions and financial risk. In other words, we want to test and leverage. We observe that mean and median values are
the influence of the social ratings of companies on their level close. The global score is around 31 (mean 31.84; median 31).
of risk. We consider Vigeo SR dimensions given that it is the Companies obtain the lowest score on the Human Resources
leading European agency and that it considers worldwide firms. dimension (mean 24.64; median 22) and the highest score on
The vast majority of empirical studies have used KLD (MSCI the dimension under intensive scrutiny of the investors i.e.
ESG Research today gathering KLD, Innovest and IRRC) rat- Corporate Governance (mean 41,53 median 43). From table
ings or databases to measure the link between SR ratings and 1b we observed that USA, Japan and UK represent respectively
financial performance or risk. The advantage to use Vigeo 18.9%, 16.87% and 11.34% of the total sample followed by
ratings is to provide new information on this relationship in Germany, France, Australia with about 3% each. Europe rep-
using data extracted and collected with another methodology resents majority of data considering that Vigeo is a European
and others dimensions of SR, with an objective to provide company. Note also that the number of ratings is increasing
new conclusions and new issues in a worldwide context when until 2009 (during the financial crisis) then decreases until 2012
KLD database provides only American data. Moreover, recent and finally increases again. Half of the ratings are measured
studies use Vigeo database (Girerd-Potin et al., 2014; Liang and from 2013 to 2015. Finally, we observe from figure 1 that the
Renneboog, 2016; Quéré et al., 2018). median scores of SR dimensions are globally decreasing over
Vigeo rates companies on six dimensions: ‘Environment’, time (between 2004 and 2016), certainly due to the increasing
‘Corporate Governance’, ‘Human Rights at workplaces’, ‘Human number of rated companies through time and thus the hetero-
Resources’, ‘Business Behaviour’ and ‘Community Involvement’9. geneous SR commitments of companies between emerging and
It differs from KLD dimensions based on seven themes: experienced markets on sustainable issues.

8. A merger between Vigeo and EIRIS (English social rating agency) was approved in October 2015 to form the Vigeo-EIRIS group.
9. The different criteria evaluated by Vigeo to establish the social ratings are explained in Appendix 1.
The Effects of Socially Responsible Dimensions on Risk Dynamics and Risk Predictability: A Value-at-Risk Perspective 147

Impact of SR dimensions on market risk where Yeart is a year dummy variable, β1 is the coefficient of
characteristics the Vigeo rate and β2 and β3 are control variable coefficients. The
Since the computation part is performed daily for individuals dependent variable Y (riskit,) successively takes the following five
stocks while storing the results at the annual frequency, we variables: the empirical Value at Risk for 1) Long and 2) Short
obtain cross-sectional time series data. To unveil the relationship position, 3) the Leverage coefficient βiGJR, 4) the ARCH βiGJR
between market risk and SR rating, we employ an (unbalanced) coefficient and 5) the GARCH parameters βiGJR of the conditional
panel data model. To distinguish also the use of empirical and variance process. We also estimate the model by replacing the
theoretical VaR, we precise that we use the empirical VaR as a SR dimension by the overall rating as an explanatory variable.
(raw) proxy to assess the market risk and the theoretical VaR This continuous variable differs of the other ratings variables
as a proxy (DQT Test) to assess the market risk predictability. that are categorical variables. The overall rating is computed
The static single equation model is given by: as a weighted average of the six SR dimensions and expressed

risk i,t = X'i,t β + δt + ηi + vi,t
(9) TABLE 1a
t = 2004: 2015; i = 1: 2082
Summary statistics of Vigeo’s SR scores
where risk i,t is the dependent variable to determine (market
Vigeo scores Mean p25 Median p75 Std N
risk) with i denoting individuals and t denoting time, ηi and  δt
are respectively individual effects and time specific effects. Global score 31,84 23 31 40 12,04 6206
risk i,t represents risk measure or characteristics as described Human
24,64 14 22 33 14,64 6206
below, X i,t is an independent variable vector corresponding Resources (HR)
to the rating of one the 6 SR dimensions (HR, ENV, BB, CG, Environment
27,61 14 27 40 17,11 6206
CIN, HRTS) or the overall rating, 2 variables corresponding (ENV)
to firm’s characteristics (MV, Leverage), and a constant. β is Business
35,06 25 34 44 13,16 6206
Behaviour (BB)
an unknown coefficient associated to a SR dimension, ηi is a
random variable possibly correlated with X'i,t (Fixed Effect) but 41,53 28 43 55 19,13 6206
Governance (CG)
uncorrelated with the error term vi,t.
29,51 17 27 39 16,08 6206
MV and Leverage are, respectively, the market capitalization Involvement (CIN)
and leverage ratio (Total Debt /Capital). We include the leverage Human Rights at
34,13 24 32 43 13,51 6206
ratio to disentangle the financial leverage risk (captured per the workplaces (HRTS)
leverage ratio) from the business risk. Market capitalization is LN(MV) 17,73 15,73 17,176 19,638 2,63 6206
introduced to control the fact that small-caps stocks are riskier Leverage 0,3987 0,2212 0,3776 0,5470 0,2979 6206
investments than large-cap stocks.
This table summarizes the six Vigeo scores (Environment (ENV), Corporate
We estimate fixed effect model because we suspect omitted Governance (CG), Human Rights at workplaces (HRTS), Human Resources
(HR), Business Behaviour (BB) and Community Involvement (CIN). MV and
variables to be correlated with the explanatory variables (it is Leverage refer respectively to the ‘log of market capitalization’ and the
likely the case with the capitalization variable) and because ‘ratio of debt over total assets’.
observations can hardly be considered as being a random sam-
ple from the full population (over-representation of the USA).
Moreover, the Hausman (provided in Appendix 2) confirm
the superiority of the Fix estimator vs the Random Estimator. FIGURE 1
Evolution of median Vigeo SR scores
We consider the following dependent variables to evaluate
for each SR dimension
the relationship between SR dimensions and market risk:
– The empirical Value-at-Risk values computed as the 5%
quantile of returns on a yearly basis.
– The three parameters of the conditional variance: the asym- 45
metric parameter of the GJR Model (the so-called ‘leverage CS
effect’ parameter) and ARCH and GARCH parameters CG
(respectively γiGJR αiGJR and βiGJR of equation (3)). CIN
– The average (daily) returns. This variable is included to test 35

for a potential effect of SR dimensions on rentability.

– The average daily variance as an additional proxy for risk 30
(total risk).
To summarize, the equations model is formally stated as: 25

riskit, = β1 * Xi,t + β2 * MVi,t + β3 * Leveragei,t + Yeart + ηi + vi,t 20
i = 1:2082 ; t = 2004:2015 ; (10) 2004 2006 2008 2010 2012 2014 2016
X ∈[HR, ENV, BB, CG ,CIN, HRTS] Year
148 Management international / International Management / Gestión Internacional

Summary statistics: distribution of the sample by years and countries
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Total
Australia 0 0 0 0 15 45 8 43 12 37 16 38 214
Austria 1 1 3 2 3 4 5 6 4 4 4 5 42
Belgium 3 6 2 6 1 8 8 5 6 5 9 6 65
Brazil 0 0 0 0 0 0 0 0 0 15 38 34 87
Canada 0 0 0 2 6 28 19 16 25 11 33 14 154
Chile 0 0 0 0 0 0 0 0 0 2 13 8 23
China 0 0 0 0 0 0 0 0 1 7 44 40 92
Colombia 0 0 0 0 0 0 0 0 0 3 7 7 17
Czech Republic 0 0 0 0 0 0 0 0 1 0 1 2 4
Denmark 4 0 6 2 4 5 2 7 3 5 5 3 46
Finland 1 5 5 6 7 9 11 5 11 6 9 8 83
France 12 25 15 15 13 18 24 15 19 20 16 24 216
Germany 13 17 18 17 17 23 26 21 20 23 20 33 248
Greece 3 4 3 5 2 7 0 7 0 3 0 0 34
Hong Kong 0 0 0 0 5 25 4 24 5 28 29 50 170
Hungary 0 0 0 0 0 1 0 0 0 2 3 2 8
India 0 0 0 0 0 0 0 0 0 17 43 44 104
Indonesia 0 0 0 0 0 0 0 0 0 10 18 20 48
Ireland 5 4 3 4 3 4 5 4 4 4 4 6 50
Italy 3 14 9 6 7 12 11 13 9 11 9 9 113
Japan 0 0 0 0 52 215 29 210 31 219 62 229 1047
Korea 0 0 0 0 0 0 0 0 0 0 1 2 3
Luxembourg 0 1 0 2 1 2 2 2 1 2 2 4 19
Malaysia 0 0 0 0 0 0 0 0 0 10 24 20 54
Mexico 0 0 0 0 0 0 0 1 0 7 17 16 41
Monaco 0 0 0 0 0 0 0 0 0 0 0 1 1
Morocco 0 0 0 0 0 0 0 4 2 8 0 7 21
New Zealand 0 0 0 0 1 3 2 1 2 1 3 2 15
Norway 1 4 5 1 7 7 6 9 2 8 3 8 61
Peru 0 0 0 0 0 0 0 0 0 1 2 2 5
Philippines 0 0 0 0 0 0 0 0 0 2 14 13 29
Poland 0 0 0 0 0 2 0 0 0 2 16 11 31
Portugal 2 3 2 5 0 6 1 3 2 0 2 0 26
Qatar 0 0 0 0 0 0 0 0 0 0 1 2 3
Russia 0 0 0 0 0 0 0 0 0 5 6 9 20
Saudi Arabia 0 0 0 0 0 0 0 0 0 1 0 0 1
Singapore 0 0 0 0 4 9 4 7 4 10 7 13 58
South Korea 0 0 0 0 0 0 0 0 0 22 51 45 118
South-Africa 0 0 0 0 0 0 0 0 1 17 28 37 83
Spain 7 11 9 15 6 17 9 13 9 11 11 10 128
Sweden 6 17 9 15 11 20 24 14 19 18 24 12 189
Switzerland 6 16 11 10 14 14 24 16 19 16 22 15 183
Taiwan 0 0 0 0 0 0 0 0 0 31 47 75 153
Thailand 0 0 0 0 0 0 0 0 0 8 17 13 38
The Netherlands 10 14 13 8 6 15 14 10 11 10 12 11 134
Turkey 0 0 0 0 0 0 0 0 0 6 18 22 46
United Arab Emirates 0 0 0 0 0 0 0 1 0 0 1 2 4
United Kingdom 50 60 44 44 51 72 75 61 65 59 65 58 704
United States of America 1 0 1 13 22 213 119 133 139 164 202 166 1173
Total 128 202 158 178 258 784 432 651 427 851 979 1158 6206
The Effects of Socially Responsible Dimensions on Risk Dynamics and Risk Predictability: A Value-at-Risk Perspective 149

with respect to the firm’s sector (the formula is not publicly The dependent variable (RQP, risk quality prediction) can take
disclosed by VIGEO). only two states: 0 for failure in predicting VaR or 1 for success
If SR commitment reduces risk, we should expect the fol- in predicting VaR. The logistic model is therefore suitable. The
lowing impacts: dependent variable is derived of the DQT obtained via the
ARMA-GARCH to evaluate short position and via the ARMA-
– ARCH effect: the impact of SR ratings on αi of formula (3) GJR to evaluate long position.
should be negative, recent chocks have a lesser effect on future
risk (better capacity of SR companies to absorb chocks), Formally the fixed-effects logit model is10,
– GARCH effect: the impact of SR ratings on βi of formula (3) P(RQPi,t ≠ 0|X it = F(αi + X itγ)
should be positive, the variance process is more stable in (11)
i = 1: 2082 t = 2004; 2015
time, risk should be easier to predict.
exp (z)
– Asymmetric effect: the impact of SR ratings on yi of formula where F is the cumulative logistic distribution F (z) =
1+exp (z)
(3) should be negative. Indeed, a positive coefficient would X i,t is a vector of observations on the explanatory variables
mean that impact of negative chocks on volatility increases (SR dimensions and overall rating) and is a vector of unknown
with good SR ratings. However, we expect the opposite coefficients. The same explanatory variables as in the non-logit
because good SR ratings may be perceived by equity holders panel case are included. Estimation is implemented using Matlab
as a positive signal about the firm’s future risk. and Ox programming language (Doornik, 2007) with G@rch
(Laurent and Peters, 2002).
Impact of SR dimensions on market risk
predictability Empirical Results
As previously stated, we use the DQT test to assess VaR accuracy
as a proxy of market risk predictability. We therefore observe SR ratings and market risk characteristics
two scenarios: 1) either the DQT test accepts the null hypothesis Table 2 presents the results of the effect of the SR ratings on
of adequate VaR prediction, or 2) the VaR prediction fails and the VaR of long and short positions and on the parameters of
the model does not capture the return dynamics. We classify the GJR GARCH model. We only report regressions that have
as successful whenever the null hypothesis of the DQT test of a significant SR coefficients.
adequate modelling is accepted at a 5% confidence level. Thus,
for each firm and each year, we obtain a time-series of a binary Empirical value at risk - market risk
variable indicating success or failure regarding the VaR prediction.
In terms of the Empirical Value at Risk (column (8) and (9)
Figure 2 presents a comparison of the ARMA-GARCH and of table 2), the size (Market Capitalization) tends to reduce
ARMA-GJR models using the DQ test. The classical GARCH market risk since it lowers positive VaR (significantly) and
obtains better results for the risk (VaR) of short positions and increases negative VaR. Conversely, and as expected, the debt
GJR for the risk of long positions. In the empirical analyses, ratio (Leverage) increases market risk since it is positively related
we will therefore use the classical GARCH model when the to extreme variation (increasing positive VaR and lowering
dependant variable is the “short VaR” and the GJR model when negative VaR). SR involvement (measured by the overall SR
the dependent variable is the “long VaR”. Note that the per- rating) tends to reduce risk because coefficient is significantly
centage of success is quite low during crisis periods (2008 and positive for negative VaR and negative significant for positive
2011, crisis in the euro-zone) meaning that prediction quality VaR. We do not find significant impact of SR dimensions on
of time series models deteriorate in period of crisis when risk positive or negative VaR. SR commitment seems to have a
predictability is more needed. synergetic effect: it is only when the company is engaged in
To evaluate the relationship between SR dimensions and a global SR implementation (and not particularly specific for
this VaR accuracy, we use a fixed-effects logistic regression. dimensions) that the impact on risk reduction is significant.

Comparison of the GARCH and GJR time series models in the case of long and short portfolios

Short VaR Long VaR

1 1
% Suceess (DQT)

% Suceess (DQT)

0.8 0.6
0.7 0.4
0.6 0.2
2004 2006 2008 2010 2012 2014 2016 2004 2006 2008 2010 2012 2014 2016
Year Year

10. Equation (11) (fixed effect model) is a simplified version of the conditional fixed effect model that we actually used in our empirical work. The choice of the
conditional model is justified to take into account identification problems.
150 Management international / International Management / Gestión Internacional

SR scores and market risk characteristics: Fixed effect panel data model
(1) (2) (3) (4) (5) (6) (7)
Overall SR Score

HR -0.00177**

ENV -0.00118*

BB -0.00220*** 0.00303**
(-3.11) (2.17)

CG 0.00318**

CIN -0.00100**

HRTS -0.00145*

2004 0.0134** 0.0135** 0.0130** 0.0137** 0.0134** -0.0355*** -0.0357***

(2.11) (2.15) (2.04) (2.18) (2.10) (-3.22) (-3.23)

2005 0.0136*** 0.0140*** 0.0135*** 0.0142*** 0.0139*** -0.0216*** -0.0218***

(3.49) (3.69) (3.51) (3.71) (3.52) (-3.56) (-3.60)

2006 0.0150*** 0.0154*** 0.0149*** 0.0155*** 0.0152*** -0.0256*** -0.0256***

(3.48) (3.63) (3.48) (3.62) (3.52) (-3.76) (-3.74)

2007 0.0166*** 0.0167*** 0.0164*** 0.0169*** 0.0167*** -0.0384*** -0.0384***

(4.36) (4.47) (4.36) (4.48) (4.41) (-4.68) (-4.63)

2008 0.00903*** 0.00916*** 0.00891*** 0.00930*** 0.00911*** -0.0191*** -0.0192***

(4.33) (4.45) (4.32) (4.51) (4.27) (-3.46) (-3.63)

2009 0.00363* 0.00370* 0.00351* 0.00371* 0.00362* -0.00254 -0.00275

(1.84) (1.93) (1.79) (1.91) (1.81) (-0.88) (-0.96)

2010 0.00333 0.00348 0.00325 0.00349 0.00336 -0.00310 -0.00300

(1.12) (1.18) (1.10) (1.18) (1.13) (-0.69) (-0.66)

2011 0.00308 0.00317 0.00289 0.00332 0.00306 -0.00665** -0.00681**

(1.41) (1.49) (1.33) (1.54) (1.38) (-2.24) (-2.31)

2012 0.000904 0.000966 0.000826 0.00106 0.000942 -0.00105 -0.000866

(0.44) (0.49) (0.41) (0.53) (0.46) (-0.28) (-0.22)

2013 0.00309* 0.00314* 0.00295* 0.00324* 0.00307* -0.00277 -0.00292

(1.83) (1.90) (1.76) (1.92) (1.80) (-1.12) (-1.18)

2014 0.000557 0.000626 0.000547 0.000667 0.000588 0.00162 0.00173

(0.42) (0.48) (0.41) (0.51) (0.44) (0.60) (0.63)

MV -0.00459 -0.00462 -0.00466 -0.00460 -0.00468 0.00678 0.00701*

(-1.29) (-1.29) (-1.31) (-1.29) (-1.31) (1.63) (1.67)

Leverage 0.00687 0.00689 0.00698 0.00684 0.00692 -0.00338 -0.00318

(1.41) (1.41) (1.42) (1.41) (1.42) (-0.95) (-0.88)

Const. 0.105*** 0.103*** 0.107*** 0.102*** 0.105*** 0.812*** 0.809***

(2.76) (2.79) (2.82) (2.74) (2.72) (18.19) (17.92)
N 6195 6195 6195 6195 6195 6195 6195
r2 0.0479 0.0467 0.0494 0.0467 0.0473 0.0461 0.0460
r2 (b) 0.00423 0.00437 0.00393 0.00462 0.00410 0.000247 0.000480
r2 (o) 0.00262 0.00286 0.00235 0.00302 0.00263 0.0000592 0.0000139
F 6.556 6.549 6.487 6.636 6.457 5.839 5.842
Su 0.0580 0.0580 0.0580 0.0580 0.0580 0.0916 0.0917
Se 0.0230 0.0230 0.0230 0.0230 0.0230 0.0471 0.0471
Ng 2082 2082 2082 2082 2082 2082 2082
Min 1 1 1 1 1 1 1
Avg 2.976 2.976 2.976 2.976 2.976 2.976 2.976
Max 8 8 8 8 8 8 8
LL 15865.0 15861.2 15869.7 15861.1 15863.2 11422.9 11422.7
* p < 0.10, ** p < 0.05, *** p < 0.01.
r2, r2(b) and r2(o) denote, respectively, the within, between and overall r-squared. F is Fischer statistic and Su and Se are respectively the panel-level
standard deviation and standard deviation of vit. N, Ng, Min, Avg and Max refer, respectively, to the total number of observations,
the total number of groups,
the minimum, average and maximum number of groups. The dependent variables N-VaR, P-VaR, GJR, ARCH, GARCH, ( σ2  ) and E(r) refer respectively to the
negative empirical VaR, positive Empirical VaR, the asymmetry parameter of the GJR model, the ARCH coefficient, the GARCH coefficient, the (daily) variance
and the (daily) average returns. T-statistics are given in parentheses. LL is the log-likelihood. Standard errors are cluster–robust standard errors.
The Effects of Socially Responsible Dimensions on Risk Dynamics and Risk Predictability: A Value-at-Risk Perspective 151

SR scores and market risk characteristics: Fixed effect panel data model
(8) (9) (10) (11) (12) (13) (14)
NegVar PosVar GJR(γ) ARCH(α) GARCH(β) E(r)
Overall SR Score 0.0000446* -0.0000564** -0.0000176 -0.000234*** 0.000389*** -0.00000127 -0.00000443
(1.71) (-2.13) (-0.22) (-3.07) (2.63) (-1.06) (-1.42)







2004 0.0101*** -0.0106*** 0.0106** 0.0113* -0.0325*** -0.000272*** -0.000128

(8.52) (-8.97) (2.50) (1.76) (-2.88) (-4.43) (-0.93)

2005 0.0136*** -0.0119*** -0.00312 0.0116*** -0.0180*** -0.000336*** 0.000337***

(15.10) (-13.36) (-0.95) (2.94) (-2.88) (-7.51) (2.85)

2006 0.00690*** -0.00547*** -0.00361 0.0138*** -0.0236*** -0.000162*** 0.000395***

(9.62) (-8.02) (-0.95) (3.16) (-3.30) (-4.89) (3.90)

2007 0.00377*** -0.00417*** -0.000929 0.0154*** -0.0365*** -0.000167*** -0.000221**

(4.78) (-5.64) (-0.33) (4.08) (-4.34) (-4.81) (-1.98)

2008 -0.0270*** 0.0220*** 0.00770*** 0.00829*** -0.0179*** 0.000855*** -0.00201***

(-30.05) (26.73) (3.66) (3.92) (-3.17) (19.93) (-20.04)

2009 -0.0122*** 0.0134*** -0.000718 0.00304 -0.00165 0.000379*** 0.000606***

(-22.05) (23.05) (-0.50) (1.55) (-0.55) (14.57) (8.50)

2010 0.00426*** -0.00445*** 0.00273 0.00321 -0.00294 -0.000170*** -0.0000245

(7.50) (-8.13) (1.49) (1.09) (-0.66) (-6.41) (-0.29)

2011 -0.00316*** 0.00111*** 0.00731*** 0.00270 -0.00620** 0.0000699*** -0.000916***

(-6.56) (2.69) (5.58) (1.25) (-2.06) (3.68) (-14.47)

2012 0.00629*** -0.00463*** 0.00322* 0.000349 -0.000168 -0.000170*** 0.000285***

(11.82) (-8.60) (1.93) (0.17) (-0.04) (-8.00) (4.14)

2013 0.00317*** -0.00209*** 0.00104 0.00292* -0.00262 -0.0000485*** 0.000528***

(8.15) (-5.93) (0.84) (1.75) (-1.05) (-2.82) (10.30)

2014 0.00767*** -0.00684*** -0.000984 0.000374 0.00195 -0.000203*** 0.000288***

(19.04) (-17.11) (-0.91) (0.28) (0.72) (-12.86) (5.08)

MV 0.00285*** -0.00620*** 0.00109 -0.00460 0.00667 -0.0000949*** -0.00102***

(4.72) (-10.23) (0.65) (-1.29) (1.60) (-2.63) (-12.21)

Leverage -0.00237* 0.00186 -0.00138 0.00699 -0.00346 0.000114 -0.000173*

(-1.66) (1.33) (-0.85) (1.42) (-0.95) (1.50) (-1.75)

Const. -0.0595*** 0.0949*** 0.0514*** 0.107*** 0.809*** 0.00140*** 0.0108***

(-9.09) (14.51) (2.88) (2.87) (18.41) (3.59) (11.96)
N 6195 6195 6195 6195 6195 6195 6195
r2 0.566 0.526 0.0259 0.0486 0.0463 0.367 0.394
r2 (b) 0.0323 0.000764 0.00351 0.00144 0.0000411 0.0331 0.00949
r2 (o) 0.228 0.0603 0.000226 0.000356 0.00119 0.160 0.0396
F 162.5 142.4 9.928 6.957 6.770 72.43 126.6
Su 0.0112 0.0174 0.0568 0.0574 0.0908 0.000366 0.00253
Se 0.00804 0.00799 0.0222 0.0230 0.0471 0.000363 0.000997
Ng 2082 2082 2082 2082 2082 2082 2082
Min 1 1 1 1 1 1 1
Avg 2.976 2.976 2.976 2.976 2.976 2.976 2.976
Max 8 8 8 8 8 8 8
LL 22371.7 22409.3 16083.1 15867.4 11423.7 41566.6 35300.9
152 Management international / International Management / Gestión Internacional

As stated above, good global SR rating (overall rating) reduces indicates that VaR prediction accuracy increases with firm size.
significantly the VaR of short and long portfolios. Nevertheless, Concerning Global SR ratings, we observe that its impact on
the impact of good global SR rating on variance is also negative risk prediction quality is positive but not significant (columns
but not significant (table 2, column 13). These results tend to (2) to (5) in table 3). We report only one significant result in
show that SR strategy is more efficient in reducing extreme risks the table 3 for the SR dimensions: ENV (Environment) has a
(kurtosis) than global risk (variance). Furthermore the impact negative impact on the prediction of the short VaR (column
of global rating on expected returns is negative (meaning, fol- (1) of table 3). During the crisis period the market risk predict-
lowing equations (4) and (5), that it increases the long position ability deteriorated as indicated by the negative and strongly
risk and decreases the short position risk) but non-significant. significant coefficients of the year 2008.
In consequence, our VaRs do not suffer of a potential mean
effect (table 2, column 14).
Discussion and Conclusion
Asymmetric parameter 11
This paper examines the relationship between SR dimensions
Regarding the asymmetric parameter of the GJR Model, we or practices and financial risk (measured by VaR) in an inter-
observe a non-significant relation between the overall SR rat- national context. The originality of this paper is in simultaneously
ing and the asymmetry coefficient (column (10) in table 2). proposing a measure of risk (Value-at-Risk) with a measure of
This finding indicates that SR involvement has no perceivable the impact of SR Vigeo dimensions on the risk dynamics of
impact on the leverage effect. Leverage has the same effect stock returns and risk predictability.
on stock prices behaviour for high and low SR companies. While extant ‘CSR-Risk’ related literature focuses on the
This result has a practical consequence because it means that measure of this relationship, it has thus far been silent on the
high SR companies cannot increase their leverage expecting a effect of SR dimensions on risk predictability and risk dynamics.
dampening effect of CSR on the asymmetric effect. Indeed, although knowledge on the relation between risk level
and SR dimensions is certainly valuable, risk managers tend
GARCH parameters
to take this risk into account with tools such as VaR models.
Finally, regarding the conditional variance process, we observe Therefore, in addition to measuring the level of risk, evaluating
that BB (Business Behaviour) and CG (Corporate Governance) the relation between SR dimensions and risk model character-
dimensions have a positive (significant) effect on the GARCH istics and accuracy would also seem relevant.
parameters, indicating higher persistence in the variance (col-
As a main contribution, we find that high-rated companies
umn (6) and (7) in table 2)12. The coefficient is also positive and
considering SR global rating (defined as ‘Overall SR Rating’)
significant for the overall SR rating (column (12) in table 2).
appear to be less risky (in terms of downside risk level meas-
Volatility is therefore more stable for companies with higher
ured by VaR) than low-rated companies, dampen the effect of
SR ratings. Correspondingly, we observe negative significant
negative returns on volatility and soften volatility movements.
coefficients for HR (Human Resources), ENV (Environment),
This reinforces the argument that SR considerations allow
BB (Business Behaviour), CIN (Community Involvement), and
more accurately anticipating and managing the social risk of a
HRTS (Human Rights at Workplaces) dimensions (column (1)
company and thus the financial risk through what Kurtz (2002)
to (5) in table 2) for the ARCH effect. These results indicate that
termed the ‘information effect’ (better control of environmental
highly ranked companies in terms of each of these SR dimen-
and social risks lead to better anticipating financial risk).
sions have a variance process that is less affected by shocks
than low ranked companies. The overall SR rating has also a When we decompose the results by SR dimensions for the
negative significant impact on the ARCH effect (column (11) estimated risk characteristics, we find that high-rated com-
in table 2) confirming that companies with high SR ratings are panies in HR (Human Resources), ENV (Environment), BB
less sensitive to shocks. (Business Behaviour), CIN (Community Involvement), and
HRTS (Human Rights at Workplaces) dimensions better absorb
volatility shocks than low-rated companies in the same dimen-
SR ratings and market risk predictability
sion. Our results are therefore in line with the results of Bouslah
The fixed-effects logistic regression results corresponding to et al. (2013) on the systematic risk of companies and reinforced
equation (11) are reported in table 3 for the VaR of long and by Boutin-Dufresne and Savaria (2004: 60) for HRTS, CIN, HR
short positions using respectively the GJR and classical GARCH. and BB dimensions. For the human rights issues (HRTS), the
Firm size (measured by Market Capitalization) has a signifi- authors state that “the risks associated with the quality of life in
cant (at 1%) impact on the probability that the VaR methodology the workplace at local and international levels are the loss of prof-
adequately predicts extreme variations for ‘short’ positions. This itability resulting from, e.g., strikes, legal actions related to work
indicates that the probability of a correct VaR prediction for safety, or sweat shop issues”. Concerning the community, social
a large company is greater than for a small one. The positive and commercial issues (CIN, HR and BB), we are online with
and significant effect of the market capitalization variables also the fact that “by its involvement in local communities through

11. The distribution of the ARCH, GARCH and Asymmetric (GJR) coefficients are given in Appendix 3. Summary statistics of the estimated coefficients are
given in Appendix 4.
12. As a robustness check, we conduct a similar empirical analysis on a sample where we suppose that the Vigeo ratings remains valid two years after its first
computation unless another rating was calculated during this period. In this case, we also find that HR (Human Resources) has a significant positive effect on
the GARCH coefficient.
The Effects of Socially Responsible Dimensions on Risk Dynamics and Risk Predictability: A Value-at-Risk Perspective 153

SR scores and market risk predictability: Conditional fixed-effects logit model
(1) (2) (3) (4) (5)
Short Short Long Short Long
Overall SR Score 0.00316 0.00883 0.00745 0.00849
(0.36) (1.15) (0.94) (1.07)

ENV -0.149*

2004 1.258*** 1.358*** 1.236*** 0.705** 0.930**

(3.25) (3.39) (3.37) (2.25) (2.56)

2005 -0.128 -0.0291 1.011*** -0.0619 0.884***

(-0.48) (-0.10) (3.53) (-0.24) (2.94)

2006 -0.493* -0.425 0.339 -0.657*** 0.360

(-1.85) (-1.53) (1.35) (-2.68) (1.35)

2007 0.111 0.162 -0.126 -0.0462 -0.282

(0.40) (0.58) (-0.57) (-0.19) (-1.23)

2008 -0.512** -0.464** -2.055*** -0.343* -2.060***

(-2.35) (-2.10) (-10.00) (-1.67) (-10.09)

2009 0.101 0.135 0.600*** -0.145 0.644***

(0.61) (0.80) (4.45) (-0.97) (4.51)

2010 0.672*** 0.687*** 0.667*** 0.518** 0.620***

(2.94) (2.99) (3.40) (2.56) (3.02)

2011 0.844*** 0.870*** -1.372*** 1.044*** -1.154***

(4.38) (4.49) (-9.94) (5.70) (-8.46)

2012 0.863*** 0.892*** 1.460*** 0.773*** 1.300***

(3.50) (3.58) (6.76) (3.56) (5.77)

2013 0.0298 0.0542 0.775*** -0.0377 0.743***

(0.20) (0.36) (5.97) (-0.28) (5.51)

2014 0.318* 0.339** 0.525*** 0.532*** 0.536***

(1.85) (1.97) (3.67) (3.33) (3.60)

MV 1.257*** 1.251*** -0.195 1.136*** -0.0780

(7.83) (7.80) (-1.44) (7.98) (-0.56)

Leverage -0.0529 -0.0623 -0.0731 -0.0571 -0.251

(-0.30) (-0.36) (-0.30) (-0.34) (-0.80)
N 2563 2563 3952 3083 3684
Ng 616 616 949 741 887
Min 2 2 2 2 2
Avg 4.161 4.161 4.164 4.161 4.153
Max 8 8 8 8 8
Chi2 141.8 138.8 684.9 196.3 573.1
LL -841.4 -842.9 -1184.9 -1045.4 -1108.1
* p < 0.10, ** p < 0.05, *** p < 0.01.
N, Ng , Min, Avg and Max refer, respectively, to the total number of observations, the total number of groups, the minimum, average and maximum number of
groups. A large number of groups has been dropped because some groups have the same dependent variable (vector with only one or zero values) whereas
the estimation required at least two different outcomes. Chi2 and LL are respectively the statistic of the chi2 test and the log-likelihood of the model.
t statistics are given in parentheses. The dependent variables DQT(GARCH) SHORT and DQT(GJR) LONG are binaries variable that indicate success (1) or
failure (0) of the null of adequate VaR modelling based on the DQT test using results of the GARCH models for short position VaR and of the GJR model for the
long position VaR (found to be the most appropriate model for each position).
154 Management international / International Management / Gestión Internacional

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Vigeo Social Ratings
The Vigeo frame of reference has 38 generic criteria divided into 6 distinct domains:
1. Human Resources: constant improvement of professional and labour relations as well as working conditions.
2. Environment: protection, safeguarding, prevention of attacks on the environment, implementation of an adequate managerial strategy,
ecodesign, protection of biodiversity and reasonable control of environmental impacts on the overall lifecycle of products and services.
3. Corporate Governance: efficiency and integrity, insuring the independence and effectiveness of the Board of Directors, effectiveness
and efficiency of audit and control systems and particularly social responsibility risks, respect of shareholder rights and especially
minorities, transparency and moderation in executive remuneration.
4. Community Involvement: effectiveness, managerial integration of commitment, contribution to economic and social development
of the territories of establishment and their human communities, concrete commitment in favour of controlling the societal effects
of products and services, transparent and participative contribution to causes of general interest.
5. Business Behaviour: taking into account clients’ rights and interests, integrating social and environmental standards both in the
selection of suppliers and in the overall supplying chain, efficient prevention of corruption and respect of competition laws.
6. Human Rights at Workplaces: respect of trade union freedom and promoting collective negotiation, non-discrimination and equality,
eradication of banned working practices (child and forced labour), preventing inhumane or humiliating treatments such as sexual
harassment, protecting private life and personal data.
More precise definitions of these criteria are available on the Vigeo website: http://www.vigeo-eiris.com/fr/.

Vigeo Social Ratings

Hausman test

1 92,21037044 7,34071E-20
2 82,69817626 8,09406E-18
3 57,93402803 2,62897E-13
4 60,7557881 6,41281E-14
5 58,57337651 1,90965E-13
6 59,02917464 1,52047E-13
7 24,6142809 4,51936E-06
8 34,56403804 3,12259E-08
9 34,65399141 2,98525E-08
10 36,46823838 1,2051E-08
11 35,74277246 1,73203E-08
12 35,28148497 2,18134E-08
This table displays results of the Hausman test applied on the regression presented in table 2. The Hausman test has for null hypothesis that the
random effect model should be preferred, p-values are below 0.01 indicating that the alternative, the fixed effect model should be employed.
The Effects of Socially Responsible Dimensions on Risk Dynamics and Risk Predictability: A Value-at-Risk Perspective 157

Frequencies of ARCH, GARCH and GJR coefficients

Garch Arch
1500 800


0 0
0 0.5 1 0 0.5 1



-0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1

This figure displays the distribution of the GARCH term (upper left panel), of the ARCH term (upper right panel) and of the asymmetry parameter of the
GJR model (lower panel). All coefficients are displayed.

Summary statistics of the estimated coefficients

Mean p25 Median p75 Std N

ARCH (α) 0,05841 0,02633 0,04789 0,07357 0,05388 6206
GARCH (β) 0,88431 0,86256 0,90369 0,93282 0,08491 6206
GJR (γ) 0,06295 0,03545 0,05787 0,08601 0,05386 6206
DQT - Short 8,52293 0,27570 1,01119 3,24899 42,44845 6206
DQT - Long 12,02275 0,27570 1,26986 10,42402 77,21839 6206
This table summarizes the estimates of the ARCH (α), GARCH (β), GJR (γ) - the asymmetry parameter of the GJR model and T-statistics of the Dynamic
Quantile test for Short and Long position.
Biographical Notes 191

Sébastien Chantelot, docteur en sciences économiques, est direc- Clément Renaud est post-doctorant à l’Institut for Area and Global
teur de La Rochelle Business School et Vice-Dean d’Excelia Group Studies de l’Ecole Polytechnique Fédérale de Lausanne. Ses travaux
en France. Ses travaux de recherche concernent l’étude des dyna- se situent au croisement de l’anthropologie des techniques et
miques organisationnelles à l’œuvre lors de la production et la pratiques de visualisation des données numériques, et se centrent
diffusion de l’innovation. notamment sur la question de l’innovation technologique et trans-
formations urbaines en Chine.
Sophie Casanova est maître de conférences en Entrepreneuriat à
l’Université de Montpellier (Institut Montpellier Management). Valérie Fernandez est Professeur, Directrice du département de
Elle est responsable pédagogique du Master 1 Entrepreneuriat. Ses Sciences Economiques et Sociales de Telecom ParisTech, laboratoire
recherches portent principalement sur l’identification d’opportu- de recherche de l’UMR i3 CNRS http://www.i-3.fr. Ses recherches
nités d’affaires, les clusters et les pôles de compétitivité français. s’intéressent aux transformations socio-économiques et nouveaux
Elle effectue ses travaux au sein des laboratoires de recherche MRM modèles d ’organisation por tées par les technologies
Entrepreneuriat (Montpellier Research Management) et Labex numériques.
Gilles Puel, géographe, professeur à l’Université de Toulouse Jean
Karim Messeghem est professeur agrégé à l’Université de Jaurès, spécialiste des problématiques reliant les technologies et
Montpellier dans le domaine de l’entrepreneuriat et de la stratégie. les territoires. Depuis 2000, il dirige le programme de Master en
Il est directeur de la recherche de l’Institut Montpellier Management Développement Territorial de l’Université de Toulouse. Titulaire
et président du comité scientifique du Labex Entreprendre. Il codi- d’une HDR en géographie et aménagement, il effectue des recherches
rige le Master Management de projets pour la PME, le Master au LEREPS et en tant que chercheur associé à Télécom ParisTech.
Accompagnement entrepreneurial et l’Executive MBA Stratégie
de croissance des PME. Ses travaux de recherche portent sur Zhen Feng est Professeur à l’Ecole d’architecture et de planification
l’accompagnement entrepreneurial, l’opportunité entrepreneuriale urbaine de l’Université de Nankin en Chine. Ses travaux de recherche
et les stratégies des PME. Il a publié plusieurs ouvrages et une portent sur l’impact des technologies d’information et de com-
quarantaine d’articles dans des revues internationales comme munication sur l’espace urbain et les modèles de “ville
Small Business Economics, Journal of Small Business Management intelligente”.
et des revues francophones.
Jean-Laurent Viviani est professeur de finance à l’Université de
Sylvie Sammut est Professeur des Universités en Entrepreneuriat Rennes 1. Il est responsable du master Finance parcours “Trésorerie”
et Management Stratégique à l’Université de Montpellier (Institut à l’IGR IAE Rennes et co-directeur de la chaire “Nouveaux défis
Montpellier Management). Elle est directrice des études et directrice de la banque : Responsabilité sociétale, Efficience et Risques”. Ses
adjointe de l’Institut. Elle est directrice du groupe de recherche recherches actuelles portent sur le financement de la chaîne logis-
MRM Entrepreneuriat et co-directrice de la Chaire Jacques Cœur tique, les risques et la gouvernance bancaire, la Responsabilité
du LabEx Entreprendre. Elle dirige plusieurs programmes de re- Sociale de l’Entreprise et les décisions financières en
cherche et a publié plus d’une centaine de contributions (ouvrages, incertitude.
articles, communications). Co-rédactrice en chef de la Revue de
l’Entrepreneuriat et vice-présidente de l’Académie de l’Entrepre- Malick Fall est maître de conférence en Finance à l’Université de
neuriat et de l’Innovation, elle est chargée de mission Entrepreneuriat Rennes 1. Ses recherches sont principalement quantitatives et
auprès du Président de l’Université de Montpellier. portent autant sur la Finance de Marché que sur la Finance
Benjamin Taupin est maître de conférences en théorie des orga-
nisations au Conservatoire national des arts et métiers et membre Christophe Revelli est professeur associé de finance responsable
du laboratoire LIRSA (EA 4603). Il est docteur en sciences de et directeur académique du MSc Corporate and Sustainable Finance
gestion de l’Université Paris-Dauphine. Ses recherches portent sur de Kedge Business School. Il est également administrateur au
les dynamiques organisationnelles contemporaines dans divers Forum pour l’Investissement Responsable (FIR, French SIF). Ses
secteurs (finance, disque, organisations internationales, tourisme, cours et ses recherches s’inscrivent dans le champ de la finance
etc.) et s’inspirent des apports des sciences humaines et sociales, no- responsable, de l’approche critique de la théorie financière moderne
tamment la sociologie pragmatique française et la sociologie et de l’impact investing.
Anne Sachet-Milliat (Docteur en Sciences de Gestion, Habilitée
Bastien Nivet est Docteur en science politique, Professeur associé à Diriger des Recherches) est enseignant-chercheur en éthique des
à l’École de Management Léonard de Vinci (EMLV, Paris La affaires et responsable de l’axe de recherche “Management, stratégie
Défense), et chercheur associé à l’Institut de recherche stratégique et transformations organisationnelles” à l’ISC Paris Business
de l’École militaire (IRSEM, Paris). Il est aussi enseignant à Sciences School. Elle est également membre associé du GRANEM à l’Uni-
Po Paris. Ses travaux de recherche portent principalement sur versité d’Angers. Ses recherches portent principalement sur les
l’intégration européenne, et ses dimensions de politique étrangère, dilemmes éthiques des managers, la déviance organisationnelle
de sécurité et de défense. Il est l’auteur de nombreux articles et - comportements non-éthiques et fraudes commis pour le compte
chapitres d’ouvrage sur ces sujets, ainsi que sur les enjeux et concep- des entreprises- et les stratégies d’influence politique.
tualisations de la puissance dans les relations internationales.
Karim Messeghem is a Professor of Strategic Management and Gilles Puel, a geographer, full professor at University of Toulouse
Entrepreneurship at the University of Montpellier and the vice- Jean Jaurès, specializing in issues linking technologies and terri-
dean for research at Montpellier Management Institute. He is also tories. He has directed the Master’s of IT program in Territorial
the President of the scientific board of Laboratory of Excellence Development at the University of Toulouse since the year 2000.
on Entrepreneurship (LabEx Entreprendre). He co-directs the He holds a French diploma to supervise doctoral students and also
Master Entrepreneurial Support, the Master Project Management conducts research at LEREPS and as an associate researcher at
in SMEs and the Executive MBA on SMEs Growth Strategy. His Télécom ParisTech.
research focuses on entrepreneurial support, entrepreneurial op-
portunity and SME strategies. He has published several books and Zhen Feng, PhD, is a professor in the School of Architecture and
40 articles in ranked journals as Small Business Economics, Journal Urban Planning, Nanjing University, China. His main research
of Small Business Management, and in several French academic interests include the impacts of Information communication and
journals. technology (ICT) on urban space and smart city theory.

Sylvie Sammut is Full Professor in Entrepreneurship and Strategic Jean-Laurent Viviani is professor of Finance at University Rennes
Management at the University of Montpellier (Montpellier 1. He is head of the master “Cash Management” at IGR IAE Rennes
Management Institute). She is Academic Director and Associate and co-head of the chair “New challenges for banks: Social re-
Dean of the Institute. She is the director of the MRM Entrepreneurship sponsibility, efficiency and risks”. His researches are focused on
Lab and co-director of the Jacques Coeur Chair at LabEx the financing of supply chain, the risks and the banking govern-
Entreprendre. She supervises research programs and has published ance, the Corporate Social Responsibility and the financial deci-
more than one hundred contributions (books, highlighted and sions under uncertainty.
additional journal articles, communications). She is co-editor-in-
chief of the Revue de l’Entrepreneuriat and vice-president of the Malick Fall is lecturer in Finance at University Rennes 1. His
Academy of Entrepreneurship and Innovation. She is in charge of researches are mainly quantitative and involve financial markets
mission “entrepreneurship” for the President of the University of as well as corporate finance.
Christophe Revelli is associate professor of responsible finance
Benjamin Taupin is an associate professor of organization studies and head of the MSc Corporate and Sustainable Finance at Kedge
at Conservatoire national des arts et métiers (CNAM) and research Business School. He is also board member at French Social
member of LIRSA (EA 4603). He holds a PhD from Université Investment Forum (French SIF). His courses and researches are
Paris-Dauphine. Benjamin devoted his work to the study of or- focused in the field of responsible finance, of the critical approach
ganizational processes in various fields of research (finance, music of the modern financial theory and of impact investing.
industry, international organizations, tourism, etc.) drawing on
Anne Sachet-Milliat (PhD in Management sciences, Habilitation
perspectives in social sciences such as the French pragmatist so-
to supervise research) is a Business Ethics professor and head of
ciology and neo-institutionalism. Bastien Nivet holds a PhD in
the research cluster “Management, strategy and organizational
Politics, is Associate Professor at the École de Management Léonard
change” at ISC Paris Business School. She is also an associate
de Vinci (EMLV, Paris Defense), and Associate Researcher at the
member of the GRANEM at Angers University. Her research has
Institute for Strategic Research of the Military School (IRSEM,
mainly focused on ethical dilemma at the workplace, organizational
Paris). He is also a teacher at Sciences Po Paris. His research focuses
deviance - unethical behaviors and corporate crime- and political
on European integration and its foreign policy, security and defense
influence strategies.
dimensions. He is the author of numerous articles and book chapters
on these topics, as well as on the issues and conceptualizations of Jacques Igalens is emeritus professor at Toulouse Capitole University
power in international relations. and President of the international social audit institute. He founded
the AGRH (French Association of Human Resources Management)
Clement Renaud is a post-doctoral researcher at the Institute for
and created the ROR (Responsible Organization Review). He has
Area and Global Studies at EPFL (Switzerland). His works stands
been dean of TBS (Toulouse Business School). He published, alone
at the crossroads of the anthropology of technics and the practice
or with co-authors, about thirty books and one hundred of papers
of data visualization, with a focus on technological innovation
in scientific journals. His interests are in Human Resources
and urban transformation in China.
Management and Corporate Social Responsibility.
Valérie Fernandez, Professor, Head of the Economics and Social
Raphaël Maucuer is an Associate Professor of Strategy at ESSCA
Sciences department at Telecom ParisTech, UMR i3 CNRS
School of Management. He holds a PhD in Management Sciences
http://www.i-3.fr. Her research interests in Economics and
from the University of Paris-Dauphine. His research interests
Innovation Management concern managerial practices, mediated
include business models, strategic discourses and non-profit
collaboration and new organizational design. In collaboration
with industrial partners and international researchers, she examines
companies’ organizational transformations linked to digital Alexandre Renaud is an Associate Professor of Strategy at EM
technology. Normandie. He holds a PhD in Management Sciences from the
University of Paris-Dauphine. His research interests include stra-
tegic alignment, project management and information systems
Sébastien Chantelot, doctor en economía, es director de La Rochelle Clément Renaud es investigador postdoctoral. Su trabajo se en-
Business School y vicedecano de Excelia Group en Francia. Sus cuentra en la intersección entre la antropología de las técnicas y
producciones (artículos y conferencias) conciernen las dinámicas las prácticas de visualización de datos digitales, centrándose en
organizacionales que estimulan la producción y difusión de la particular en el tema de la innovación tecnológica y en el de las
innovación. transformaciones urbanas en China.

Sophie Casanova es profesora de Emprendimiento en la Universidad Valérie Fernández es profesora, Telecom ParisTech, UMR i3 CNRS
de Montpellier (Instituto Montpellier Management). Ella es la http://www.i-3.fr.. Su investigación se centra en las transformaciones
gerente educativa del Master 1 Emprendimiento. Su investigación socioeconómicas y en los nuevos modelos de organización impul-
se centra en la identificación de oportunidades de negocio, clusters sados por las tecnologías digitales.
y polos de competitividad franceses. Trabaja en los laboratorios
de investigación “MRM Emprendimiento” (Montpellier Research Gilles Puel, geógrafo, profesor, es un especialista en cuestiones
Management) y Labex Entreprendre. que vinculan tecnologías y territorios. Desde 2000, dirige el pro-
grama de master en Desarrollo Territorial de la Universidad de
Karim Messeghem es profesor titular de la Universidad de Toulouse.
Montpellier en el campo del emprendimiento y la estrategia. Es
director de investigación del Montpellier Management Institute Zhen Feng es profesor en la Escuela de Arquitectura y Planificación
y presidente del comité científico del Labex Entreprendre. Es Urbana de la Universidad de Nanjing en China. Su investigación
co-director del Master Project Management para PYMES, Master se centra en el impacto de las tecnologías de la información y la
Business Support y Executive MBA Growth Strategy para PYMES. comunicación en el espacio urbano y en los modelos de “ciudad
Su investigación se enfoca en el acompañamiento empresarial, las inteligente”.
oportunidades empresariales y estrategias de las PYME. Ha pu-
blicado varios libros y cuarenta artículos en revistas internacionales Jean-Laurent Viviani es profesor de finanzas en la Universidad
como Small Business Economics, el Journal of Small Business de Rennes 1. Está a cargo del master curso de finanzas “Tesorería”
Management y otras revistas francesas. en el IGR IAE Rennes y codirector de la cátedra “Nuevos desafíos
del banco: responsabilidad social, eficiencia y riesgos”. Su inves-
Sylvie Sammut es Profesor de Universidades en Emprendimiento tigación actual se centra en las finanzas de la cadena de suministro,
y Gestión Estratégica en la Universidad de Montpellier (Montpellier los riesgos y la gobernanza bancaria, la responsabilidad social de
Management Institute). Ella es Directora de Estudios y Directora las empresas y las decisiones financieras en la incertidumbre.
Adjunta del Instituto. Es directora del grupo de investigación MRM
Entrepreneuriat y codirectora de la Cátedra Jacques Coeur del Malick Fall es profesor de finanzas en la Universidad de Rennes
LabEx Entreprendre. Sylvie Sammut dirige varios programas de 1. Su investigación es principalmente cuantitativa y se centra tanto
investigaciónes y ha publicado más de cien contribuciones (libros, en las finanzas de mercado como en las finanzas corporativas.
artículos, comunicaciones). Coeditora en jefe de la Revue de l’En-
Christophe Revelli es profesor asociado de finanzas responsables
trepreneuriat y vicepresidenta de la Academie de l’Entrepreneuriat
y director académico del Master de Corporate and Sustainable
et de l’Innovation, está a cargo de mision Emprendimiento con el
Finance en Kedge Business School. También es administrador en
presidente de la Universidad de Montpellier.
el French Social Investment Forum (French SIF). Sus cursos e
Benjamin Taupin es profesor asociado de teoría de las organiza- investigaciones están en el campo de las finanzas responsables, el
ciones en el Conservatoire national des arts et métiers (CNAM) e enfoque crítico de la teoría financiera moderna y la inversión de
investigador en el laboratorio LIRSA (EA 4603). Es también Doctor impacto.
en Gestión de la Universidad Paris-Dauphine. Sus investigaciones
Anne Sachet-Milliat (doctora en ciencias de gestion, aptitud legal
se centran en el estudio de las dinámicas organizacionales con-
para dirigir investigaciones) es profesor-investigadora en ética de
temporáneas en varios sectores (finanzas, industria discográfica,
los negocios y responsable del eje de investigaciones “Management,
organizaciones internacionales, turismo, etc.) y se basan en las
estrategia y transformaciones organizacionales” en la ISC Paris
contribuciones de las ciencias humanas y sociales, especialmente
Business School. Tambien es miembro-socio del GRANEM en la
la sociología pragmática francesa y el neoinstitucionalismo.
Universidad de Angers. Sus investigaciones consisten principal-
Bastien Nivet es Doctor en Ciencias Políticas, Profesor Asociado mente en los dilemas éticos de los dirigentes, de la desviacion
en la École de Management Léonard de Vinci (EMLV, Defensa de organizacional, -conductas éticas y engaños hechos por cuenta de
París) e Investigador Asociado en el Instituto de Investigación las empresas- y las estratégias de influencia politica.
Estratégica de la Escuela Militar (IRSEM, París). También es
Jacques IGALENS es profesor emerito de la Universidad de Toulouse
profesor en Sciences Po Paris. Su investigación se centra en la
Capitole y Presidente del Instituto internacional del Audito Social.
integración europea y sus dimensiones de política exterior, segu-
Ha creado la AGRH (Asociacion francofona de Gestion en Recursos
ridad y defensa. Es autor de numerosos artículos y capítulos de
Humanos) y creado la ROR (Revista de la Organizacion Responsable).
libros sobre estos temas, así como de los problemas y conceptua-
Ha sido director de TBS (Toulouse Business School). Ha publicado,
lizaciones del poder en las relaciones internacionales.
solo o en colaboracion, aproximadamente treinta obras y cien
articulos cientificos en la disciplina de la gestion de los recursos
humanos y de la responsabilidat social de la empresa.
Reproduced with permission of copyright owner. Further reproduction
prohibited without permission.

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